PHP can’t put the SID in all your links unless you’ve specified to do with within your code. Ie, PHP will not take your and convert it to

What’s the other factors in play here? phpBB? A pre-made script?

And I’ve never had an occation where PHP failed to set the sessoin cookie. Which browser are you using? I’d suggest to set your cookies to “always ask” to watch the cookie get set so know exactly where it gets set.